Fall 2015

Algorithmic Trading and Machine Learning

Thursday, November 19th, 2015 11:20 am12:00 pm

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Traditional financial markets have undergone rapid technological change due to increased automation and the introduction of new mechanisms. Such changes have brought with them challenging new problems in algorithmic trading, many of which invite a machine learning approach. I will briefly survey several algorithmic trading problems, focusing on their novel ML and strategic aspects, including limiting market impact, dealing with censored data, and incorporating risk considerations.